MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
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Bibliographic record
Abstract
This paper extends our recent paper ( Choulli and Stricker 2005 ) to the case when the discounted stock price process may be unbounded and may have predictable jumps. In this very general context, we provide mild necessary conditions for the existence of the minimal entropy–Hellinger local martingale density and we give an explicit description of this extremal martingale density that can be determined by pointwise solution of equations in depending only on the local characteristics of the discounted price process S . The uniform integrability and other integrability properties are investigated for this extremal density, which lead to the conditions of the existence of the minimal entropy–Hellinger martingale measure. Finally, we illustrate the main results of the paper in the case of a discrete‐time market model, where the relationship of the obtained optimal martingale measure to a dynamic risk measure is discussed.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.004 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it